Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0120
Annualized Std Dev 0.2369
Annualized Sharpe (Rf=0%) -0.0505

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1202
Quartile 1 -0.0064
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0072
Maximum 0.1706
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0149
Skewness -0.1709
Kurtosis 11.7636

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0105
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6694
Historical VaR (95%) -0.0227
Historical ES (95%) -0.0359
Modified VaR (95%) -0.0217
Modified ES (95%) -0.0295
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6694 3369 339 NA
1999-04-28 2003-03-12 2006-10-25 -0.5419 1887 973 914
2007-07-13 2007-08-16 2007-10-11 -0.1336 64 25 39
1999-01-07 1999-02-10 1999-03-11 -0.0986 44 24 20
2006-12-20 2007-03-05 2007-04-03 -0.0881 70 49 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -1.5 0.6 -0.8 1.8 1.7 2.4 1.2 -0.3 0 0.6 0.3 6.1
2000 0 2 2.5 -0.6 0.3 2.3 0 3.1 0.4 -2.7 -0.7 -1.7 4.6
2001 -0.8 -0.4 1 0.4 -1 0.5 1.5 0 -1.3 2.3 -0.6 0.3 1.8
2002 -0.1 2.5 1.9 -0.1 -0.4 1.4 -4.3 0.3 2.7 0.2 1.9 -0.2 5.8
2003 4.3 1.8 1.9 -0.6 -0.5 0.6 0.4 -1.3 2.6 -0.2 2.3 1.5 13.4
2004 0.1 1.3 0.9 -0.7 0.8 -1.5 0.1 0.2 1 0.7 2.3 -0.1 5.1
2005 1.2 0.5 -0.4 1 0 -0.3 1.4 1.5 -0.7 -0.1 1.8 -0.4 5.7
2006 0.7 0.8 -1.3 -0.5 0.2 0.9 -0.7 0.6 -0.4 0 -0.1 -0.8 -0.7
2007 0.6 -1.4 0 -0.2 0.9 0.5 0.1 2.3 1.6 -2.4 0.8 -1.3 1.6
2008 1.4 -2.4 3.6 0.7 -0.2 -1 -0.7 -0.8 0.9 -2.5 -10.3 3.3 -8.5
2009 0.6 -1.1 2.7 2.7 2.8 0.9 0.6 -1.7 -2.2 -3.6 2.6 -0.7 3.5
2010 0.5 -0.6 1.9 -2.1 -0.8 1.2 0.1 3.3 1.7 0.4 2.7 1 9.5
2011 2.5 -2.1 1.3 0.3 -2.7 1 -0.6 -0.6 -3.1 -2.5 -0.6 0.3 -6.8
2012 1.7 1.4 0.6 0.8 -1.7 2.3 0.6 0.4 0.7 1.3 0.1 1.6 10
2013 0 -0.5 -0.6 -0.2 -1.7 1.2 0.8 -1 -0.1 -0.5 0.6 0.5 -1.5
2014 -1.1 0 0.3 0.3 -0.1 1 -0.8 0.3 -1.2 1.2 0.1 -0.6 -0.7
2015 -1.8 -0.1 0.7 0.1 -1 0.2 0.3 -3.8 0.4 -0.2 1 -1 -5.3
2016 0.1 2.6 -1 -0.1 -0.6 0 -1.1 0.6 0.6 -0.3 0.1 0.7 1.6
2017 0.5 0.5 0 0.1 0.7 0.1 0.7 0.4 0.5 -0.5 -0.3 0.6 3.3
2018 0 -1.1 0.4 -0.5 0.7 0.8 -1.3 -1.1 -0.1 2 -0.8 -0.1 -1.1
2019 0.3 0.2 1.3 -1.1 -0.8 0.5 -1.2 0.6 -1.1 0.5 -0.8 0.9 -0.7
2020 -1.5 -0.6 -4.8 -2.6 2.8 0.7 -2 -0.8 0.2 -0.2 2.9 -1.1 -7.1
2021 1.3 1.6 -0.4 NA NA NA NA NA NA NA NA NA 2.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  41   SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  41.4 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  43.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  42.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  42.1 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  41.2 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart